Optimisation
Connectivity – Standards set to enhance collateral management
Regulatory changes in the over-the-counter derivatives space have seen firms scrambling to find solutions that will ensure they are prepared to manage the transition. As ever-larger transaction volumes place higher demands on firms’ transaction…
Risk Technology Awards 2019: Making machines more helpful
Machine learning can be too efficient; now, vendors are looking for ways to make it more accurate. Clive Davidson looks at the stories behind this year’s Risk Technology Awards
Risk and finance – Better together
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Making technology count in a C/ETRM world
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
triCalculate and Jon Gregory discuss the current state of play for XVA
An excerpt from a discussion between triCalculate's co-CEO, Martin Engblom, and XVA (valuation adjustment) expert Jon Gregory in which they discuss the current state of play for XVA. Our experts provide professional insight on topics such as credit…
Extending risk budgeting for market regimes and quantile factor models
In this paper, the authors combine several disparate avenues in the literature to create a novel, unified risk-based optimization framework.
Risk Markets Technology Awards 2019: Vendors enter the pick-and-mix era
Modular tech and micro-services – plus new risk and regulatory needs – are creating openings for insurgents and incumbents
Optimisation services edge closer to EU clearing exemption
Lawmakers ask European Commission to consider if offsetting non-cleared trades could be exempt
The sharing economy comes to banking
A start-up some are calling the Airbnb of capital is bringing a Silicon Valley idea to Wall Street
The changing face of European power trading
Large pools of data, an abundance of cheap and powerful computing capacity, the rise of renewables, and the development of the smart grid are having a significant impact on European power and gas trading. New and interesting developments continue to…
The rapid evolution of compression: Keeping pace with optimisation activity
It has been 15 years since compression emerged, and it continues to evolve at a rapid rate. At a forum convened by Risk and sponsored by Capitalab, our panel discusses current hurdles, upcoming challenges and whether innovation is keeping pace with the…
Equity derivatives now biggest consumer of initial margin
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
A risk-based approach to construct multi asset portfolio solutions
In this paper, the authors introduce an approach to cluster asset classes by correlation distance and then outline how these results can be used to design portfolios that are optimal in a group risk parity (GRP) framework.
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Clearing conundrum – Forging a solution for the bilateral market
Central clearing has had a beneficial effect on the over‑the‑counter derivatives market, but for some products the road to a cleared model has not been smooth. Capital, operational and margin costs of the non-cleared market have increased, while…
Swaptions expiries complicate portfolio optimisation runs
triBalance and Quantile users call for better post-trade co-ordination between dealers
Optimising VAR and terminating Arnie-VAR
Albanese, Caenazzo and Syrkin show how full-revaluation VAR is more accurate and robust than sensitivity-based VAR measures
Industry renews push for triBalance clearing exemption
Dealers using Emir review to request carve-out for optimisation trades
A new nonlinear partial differential equation in finance and a method of its solution
In this paper, the author considers a special type of nonlinear PDE that arises by applying optimization to some financial problems.
CCP stress testing gets real
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
Effective collateral management strategies
A panel of industry experts discuss how to manage and optimise the use of collateral and deal with challenges firms face since changes to variation margin rules on March 1 that require counterparties to post ‘variation margin' in relation to their…